Intro
In the backtesting analysis, I have established several different profitable strategies for timing entry/exits. Visit the TRX page to see how these signals were identified.
Simple moving average (SMA)
Exponential moving average (EMA)
SMA crosses
EMA crosses
Directional movement index (DMI)
True strength index (TSI) BEST
Stochastic oscillator (stoch)
Double RSI
Donchian channel
Ensembl indicator
This script will examine the price action and these trade signals just before the daily close. If the signal is TRUE, it is bullish and if FALSE it is bearish. When there is a switch from bearish to bullish it is a buy signal and when it switches from bullish to bearish it is a sell signal. This HTML is updated just before the daily close each day, but push notifications for any trade signals are also sent by push bullet.
To receive these signals in real-time, subscribe to the following channels - it’s free for a limited time!
https://www.pushbullet.com/channel?tag=trx_signal
If you need some help to design your own trading signals/strategies, I am happy to help for a fee. email me at mark.ziemann{αt}gmail.com for any enquiries/suggestions/feedback.
This report is distributed for FREE under the MIT licence, but if you find it useful, consider a small tip.
Reminder: this analysis is not financial advice.
suppressPackageStartupMessages({
library("jsonlite")
library("tidyverse")
library("runner")
library("quantmod")
library("TTR")
library("RPushbullet")
library("kableExtra")
})
TESTING = FALSE
MYNOTE = NULL
mydate <- Sys.time()
attr(mydate, "tzone") <- "UTC"
mydate <- as.Date(mydate)
Get TRX parameters
params <- read.table("https://mdz-analytics.com/coins/TRX/TRX_dat.txt", header=TRUE)
params %>% kbl(caption="optimised backtested parameters") %>% kable_styling("hover", full_width = F)
| indicator | parameter | meanROI | totalROI | ntrades | ndays | xhodl |
|---|---|---|---|---|---|---|
| SMA | 4 | 1.080741 | 202.69864 | 252 | 1819 | 6.608280 |
| EMA | 41 | 1.334405 | 54.69689 | 79 | 1819 | 1.783201 |
| SMAcross | 26,22 | 1.631558 | 231.49573 | 53 | 1819 | 7.547108 |
| EMAcross | 42,6 | 1.913966 | 111.06762 | 27 | 1819 | 3.620971 |
| DMI | 4 | 1.135638 | 48.12371 | 139 | 1819 | 1.568905 |
| DC | 3 | 1.133359 | 157.44667 | 167 | 1819 | 5.132998 |
| TSI | 16,3,3 | 1.109502 | 624.95840 | 192 | 1819 | 20.374582 |
| stoch | 12,6,1 | 1.084759 | 1561.45891 | 232 | 1819 | 50.905905 |
| RSI2 | 4,23 | 1.077892 | 681.00992 | 270 | 1819 | 22.201946 |
| Ensemble | SMAcross,TSI,stoch,3 | 1.172332 | 1912.68676 | 111 | 1819 | 76.563299 |
Get TRX price data
Obtaining TRX price data (daily) for the last 300 days and today’s price.
URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=TRX&convert=USD&interval=daily&count=300"
download.file(URL,destfile="trxdat.txt")
trxdat <- fromJSON("trxdat.txt")
price <- trxdat$data$quotes
price <- data.frame( as.Date(price$time_close) , price$quote$USD$high, price$quote$USD$low, price$quote$USD$close)
colnames(price) <- c("date","high","low","close")
URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=TRX&convert=USD&interval=hourly&time_period=hourly&count=11"
download.file(URL,destfile="trxdat.txt")
trxdat <- fromJSON("trxdat.txt")
price2 <- trxdat$data$quotes
price2 <- data.frame( as.Date(price2$time_close) , price2$quote$USD$high, price2$quote$USD$low, price2$quote$USD$close,stringsAsFactors=FALSE)
colnames(price2) <- c("date","high","low","close")
high <- max(price2[,2])
low <- min(price2[,3])
close <- price2[nrow(price2),4]
df <- data.frame(date=mydate,high=high,low=low,close=close,stringsAsFactors=FALSE)
price <- rbind(price,df)
tail(price) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close |
|---|---|---|---|
| 2022-09-21 | 0.0611722 | 0.0588482 | 0.0591937 |
| 2022-09-22 | 0.0603352 | 0.0588364 | 0.0602601 |
| 2022-09-23 | 0.0611151 | 0.0593600 | 0.0604473 |
| 2022-09-24 | 0.0608608 | 0.0596805 | 0.0598714 |
| 2022-09-25 | 0.0602690 | 0.0595288 | 0.0597274 |
| 2022-09-26 | 0.0598475 | 0.0593026 | 0.0594387 |
if ( TESTING == TRUE) {
price[nrow(price),"Close"] <- price[nrow(price),"Close"] * 2
}
TRX SMA indicator
Now to determine whether TRX has crossed the SMA line.
price2 <- price
n <- as.numeric(params[params$indicator == "SMA",2])
price2$ma <- SMA(Cl(price2),n=n)
price2$signal <- price2$close > price2$ma
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma | signal |
|---|---|---|---|---|---|
| 2022-09-21 | 0.0611722 | 0.0588482 | 0.0591937 | 0.0600382 | FALSE |
| 2022-09-22 | 0.0603352 | 0.0588364 | 0.0602601 | 0.0598844 | TRUE |
| 2022-09-23 | 0.0611151 | 0.0593600 | 0.0604473 | 0.0599124 | TRUE |
| 2022-09-24 | 0.0608608 | 0.0596805 | 0.0598714 | 0.0599431 | FALSE |
| 2022-09-25 | 0.0602690 | 0.0595288 | 0.0597274 | 0.0600766 | FALSE |
| 2022-09-26 | 0.0598475 | 0.0593026 | 0.0594387 | 0.0598712 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
trx_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
trx_signal="SELL"
}
} else {
trx_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_SMA=TRUE
} else {
ens_SMA=FALSE
}
message(paste("TRX SMA signal:",trx_signal))
## TRX SMA signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="TRX w SMA")
grid()
lines(price2$ma~ as.Date(price2$date) ,col="red")
if ( trx_signal != "NONE") {
MYNOTE <- paste("The TRX SMA signal is", trx_signal,".")
}
TRX EMA indicator
Now to determine whether TRX has crossed the EMA line.
price2 <- price
n <- as.numeric(params[params$indicator == "EMA",2])
price2$ma <- EMA(Cl(price2),n=n)
price2$signal <- price2$close > price2$ma
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma | signal |
|---|---|---|---|---|---|
| 2022-09-21 | 0.0611722 | 0.0588482 | 0.0591937 | 0.0634917 | FALSE |
| 2022-09-22 | 0.0603352 | 0.0588364 | 0.0602601 | 0.0633378 | FALSE |
| 2022-09-23 | 0.0611151 | 0.0593600 | 0.0604473 | 0.0632001 | FALSE |
| 2022-09-24 | 0.0608608 | 0.0596805 | 0.0598714 | 0.0630416 | FALSE |
| 2022-09-25 | 0.0602690 | 0.0595288 | 0.0597274 | 0.0628838 | FALSE |
| 2022-09-26 | 0.0598475 | 0.0593026 | 0.0594387 | 0.0627198 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
trx_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
trx_signal="SELL"
}
} else {
trx_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_EMA=TRUE
} else {
ens_EMA=FALSE
}
message(paste("TRX EMA signal:",trx_signal))
## TRX EMA signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="TRX EMA")
grid()
lines(price2$ma~ as.Date(price2$date) ,col="red")
if ( trx_signal != "NONE") {
MYNOTE <- paste("The TRX EMA signal is", trx_signal,".")
}
TRX SMA cross indicator
The SMA cross is a reasonably good strategy.
price2 <- price
n <- as.numeric(unlist(strsplit(params[params$indicator == "SMAcross",2],",")))
n1 <- n[1]
n2 <- n[2]
price2$ma1 <- SMA(Cl(price2),n=n1)
price2$ma2 <- SMA(Cl(price2),n=n2)
price2$signal <- price2$ma2 > price2$ma1
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma1 | ma2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-21 | 0.0611722 | 0.0588482 | 0.0591937 | 0.0622605 | 0.0621065 | FALSE |
| 2022-09-22 | 0.0603352 | 0.0588364 | 0.0602601 | 0.0621589 | 0.0619635 | FALSE |
| 2022-09-23 | 0.0611151 | 0.0593600 | 0.0604473 | 0.0621195 | 0.0618361 | FALSE |
| 2022-09-24 | 0.0608608 | 0.0596805 | 0.0598714 | 0.0619853 | 0.0617123 | FALSE |
| 2022-09-25 | 0.0602690 | 0.0595288 | 0.0597274 | 0.0617942 | 0.0615585 | FALSE |
| 2022-09-26 | 0.0598475 | 0.0593026 | 0.0594387 | 0.0616416 | 0.0613730 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
trx_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
trx_signal="SELL"
}
} else {
trx_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_SMAcross=TRUE
} else {
ens_SMAcross=FALSE
}
message(paste("TRX SMA cross signal:",trx_signal))
## TRX SMA cross signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="TRX w SMA cross")
grid()
lines(price2$ma1~ as.Date(price2$date) ,col="red")
lines(price2$ma2~ as.Date(price2$date) ,col="blue")
if ( trx_signal != "NONE") {
MYNOTE <- paste(MYNOTE, "The TRX SMA cross signal is", trx_signal,".")
}
TRX EMA cross indicator
The EMA cross is a moderately profitable strategy.
price2 <- price
n <- as.numeric(unlist(strsplit(params[params$indicator == "EMAcross",2],",")))
n1 <- n[1]
n2 <- n[2]
price2$ma1 <- EMA(Cl(price2),n=n1)
price2$ma2 <- EMA(Cl(price2),n=n2)
price2$signal <- price2$ma2 > price2$ma1
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma1 | ma2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-21 | 0.0611722 | 0.0588482 | 0.0591937 | 0.0635531 | 0.0603781 | FALSE |
| 2022-09-22 | 0.0603352 | 0.0588364 | 0.0602601 | 0.0633999 | 0.0603444 | FALSE |
| 2022-09-23 | 0.0611151 | 0.0593600 | 0.0604473 | 0.0632626 | 0.0603738 | FALSE |
| 2022-09-24 | 0.0608608 | 0.0596805 | 0.0598714 | 0.0631049 | 0.0602303 | FALSE |
| 2022-09-25 | 0.0602690 | 0.0595288 | 0.0597274 | 0.0629478 | 0.0600866 | FALSE |
| 2022-09-26 | 0.0598475 | 0.0593026 | 0.0594387 | 0.0627846 | 0.0599015 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
trx_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
trx_signal="SELL"
}
} else {
trx_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_EMAcross=TRUE
} else {
ens_EMAcross=FALSE
}
message(paste("TRX EMA cross signal is",trx_signal))
## TRX EMA cross signal is NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="TRX EMA cross")
grid()
lines(price2$ma1~ as.Date(price2$date) ,col="red")
lines(price2$ma2~ as.Date(price2$date) ,col="blue")
if ( trx_signal != "NONE") {
MYNOTE <- paste(MYNOTE, "The TRX EMA cross signal is", trx_signal,".")
}
TRX DMI indicator
Directional movement indicator is a good approach to identify trend changes.
n <- as.numeric(params[params$indicator == "DMI",2])
dmi.adx <- ADX(price[,c("high","low","close")],n=n)
price2 <- cbind(price,dmi.adx)
price2$signal <- dmi.adx[,1] > dmi.adx[,2]
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | DIp | DIn | DX | ADX | signal |
|---|---|---|---|---|---|---|---|---|
| 2022-09-21 | 0.0611722 | 0.0588482 | 0.0591937 | 5.916605 | 30.56356 | 67.56262 | 46.15816 | FALSE |
| 2022-09-22 | 0.0603352 | 0.0588364 | 0.0602601 | 4.532070 | 23.59572 | 67.77514 | 51.56241 | FALSE |
| 2022-09-23 | 0.0611151 | 0.0593600 | 0.0604473 | 15.209860 | 17.28168 | 6.37649 | 40.26593 | FALSE |
| 2022-09-24 | 0.0608608 | 0.0596805 | 0.0598714 | 12.266844 | 13.93778 | 6.37649 | 31.79357 | FALSE |
| 2022-09-25 | 0.0602690 | 0.0595288 | 0.0597274 | 10.558400 | 14.85265 | 16.89914 | 28.06996 | FALSE |
| 2022-09-26 | 0.0598475 | 0.0593026 | 0.0594387 | 9.288638 | 18.05842 | 32.06846 | 29.06959 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
trx_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
trx_signal="SELL"
}
} else {
trx_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_DMI=TRUE
} else {
ens_DMI=FALSE
}
message(paste("TRX DMI signal:",trx_signal))
## TRX DMI signal: NONE
price2 <- as.data.frame(price2)
par(mfrow=c(2,1))
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="TRX USD price")
grid()
plot(price2$DIp~as.Date(price2$date),type="l", col="blue",
xlab="Date",ylab="price (USD)",main="TRX DMI")
grid()
lines(price2$DIn ~ as.Date(price2$date) ,col="red")
if ( trx_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"TRX DMI signal is", trx_signal,".")
}
TRX TSI indicator
True Strength Indicator is one of the more profitable approaches. Its success lies in how it changes rapidly when momentum shifts. For most coins, this indicator performs “best” in backtesting analysis, which means it should carry relatively more weight than other indicators.
n <- as.numeric(unlist(strsplit(params[params$indicator == "TSI",2],",")))
n1 <- n[1]
n2 <- n[2]
ns <- n[3]
TSI <- function(x, n.first = 25, n.second = 13, n.signal = 7) {
#True Strength Indicator
#https://school.stockcharts.com/doku.php?id=technical_indicators:true_strength_index
x <- try.xts(x, error = as.matrix)
pc <- x - lag.xts(x, na.pad = T) #force lag.xts to get na padding
dspc <- EMA(EMA(pc, n = n.first), n = n.second)
dsapc <- EMA(EMA(abs(pc), n = n.first), n = n.second)
tsi <- 100 * (dspc/dsapc)
signal <- EMA(tsi, n = n.signal)
r <- cbind(tsi, signal)
r <- reclass(r, x)
if (!is.null(dim(r))) colnames(r) <- c("tsi", "signal")
return(r)
}
tsi <- TSI(price$close , n.first = n1, n.second = n2, n.signal = ns )
colnames(tsi) <- c("tsi","sig")
price2 <- cbind(price,tsi)
price2$signal <- tsi[,1] > tsi[,2]
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | tsi | sig | signal |
|---|---|---|---|---|---|---|
| 2022-09-21 | 0.0611722 | 0.0588482 | 0.0591937 | -31.34615 | -26.69396 | FALSE |
| 2022-09-22 | 0.0603352 | 0.0588364 | 0.0602601 | -24.41839 | -25.55618 | TRUE |
| 2022-09-23 | 0.0611151 | 0.0593600 | 0.0604473 | -19.55598 | -22.55608 | TRUE |
| 2022-09-24 | 0.0608608 | 0.0596805 | 0.0598714 | -20.58277 | -21.56942 | TRUE |
| 2022-09-25 | 0.0602690 | 0.0595288 | 0.0597274 | -21.98370 | -21.77656 | FALSE |
| 2022-09-26 | 0.0598475 | 0.0593026 | 0.0594387 | -24.58485 | -23.18071 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
trx_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
trx_signal="SELL"
}
} else {
trx_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_TSI=TRUE
} else {
ens_TSI=FALSE
}
message(paste("TRX TSI signal:",trx_signal))
## TRX TSI signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(tsi[,1] ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="TSI",main="TSI")
lines(as.Date(price2$date), tsi[,2] , col="red" )
grid()
par(mfrow=c(1,1))
if ( trx_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"TRX TSI signal is", trx_signal,".")
}
TRX stochastic oscillator indicator
Similar to the TSI, the stoch can pinpoint early changes in momentum, however it may give many false positives.
n <- as.numeric(unlist(strsplit(params[params$indicator == "stoch",2],",")))
n1 <- n[1]
n2 <- n[2]
n3 <- n[3]
sto <- stoch(HLC(price), nFastK=n1 , nFastD=n2 , nSlowD=n2 , bounded = TRUE, smooth=n3)
price2 <- cbind(price,sto)
price2$signal <- price2$fastK > price2$fastD
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | fastK | fastD | slowD | signal |
|---|---|---|---|---|---|---|---|
| 2022-09-21 | 0.0611722 | 0.0588482 | 0.0591937 | 0.0568522 | 0.1840955 | 0.2789364 | FALSE |
| 2022-09-22 | 0.0603352 | 0.0588364 | 0.0602601 | 0.2338066 | 0.1842312 | 0.2414693 | TRUE |
| 2022-09-23 | 0.0611151 | 0.0593600 | 0.0604473 | 0.2765888 | 0.1564572 | 0.2075474 | TRUE |
| 2022-09-24 | 0.0608608 | 0.0596805 | 0.0598714 | 0.2051294 | 0.1664459 | 0.1925710 | TRUE |
| 2022-09-25 | 0.0602690 | 0.0595288 | 0.0597274 | 0.2381482 | 0.1783978 | 0.1802876 | TRUE |
| 2022-09-26 | 0.0598475 | 0.0593026 | 0.0594387 | 0.1609932 | 0.1952531 | 0.1774801 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
trx_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
trx_signal="SELL"
}
} else {
trx_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_stoch=TRUE
} else {
ens_stoch=FALSE
}
message(paste("TRX stoch signal:",trx_signal))
## TRX stoch signal: SELL
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$fastK ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="index",main="stochastic oscillator")
lines(as.Date(price2$date), price2$fastD , col="red" )
grid()
par(mfrow=c(1,1))
if ( trx_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"TRX Stoch signal is", trx_signal,".")
}
TRX double RSI indicator
Double RSI is simply two RSI lines.
n <- as.numeric(unlist(strsplit(params[params$indicator == "RSI2",2],",")))
n1 <- n[1]
n2 <- n[2]
rsi1 <- RSI(price$close,n=n1,maType=EMA)
rsi2 <- RSI(price$close,n=n2,maType=EMA)
price2 <- cbind(price,rsi1,rsi2)
price2$signal <- price2$rsi1 > price2$rsi2
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | rsi1 | rsi2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-21 | 0.0611722 | 0.0588482 | 0.0591937 | 9.593744 | 35.10000 | FALSE |
| 2022-09-22 | 0.0603352 | 0.0588364 | 0.0602601 | 56.699900 | 41.33580 | TRUE |
| 2022-09-23 | 0.0611151 | 0.0593600 | 0.0604473 | 62.428831 | 42.39598 | TRUE |
| 2022-09-24 | 0.0608608 | 0.0596805 | 0.0598714 | 37.197872 | 39.97198 | FALSE |
| 2022-09-25 | 0.0602690 | 0.0595288 | 0.0597274 | 31.836774 | 39.35827 | FALSE |
| 2022-09-26 | 0.0598475 | 0.0593026 | 0.0594387 | 21.488374 | 38.07957 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
trx_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
trx_signal="SELL"
}
} else {
trx_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_RSI2=TRUE
} else {
ens_RSI2=FALSE
}
message(paste("TRX RSI signal:",trx_signal))
## TRX RSI signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$rsi1 ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="index",main="double RSI")
lines(as.Date(price2$date), price2$rsi2 , col="red" )
grid()
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$rsi1/price2$rsi2 ~ as.Date(price2$date),type="l",
xlab="Date",ylab="RSI ratio",main="double RSI")
grid()
abline(h=1,lty=2,lwd=2)
par(mfrow=c(1,1))
if ( trx_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"TRX RSI2 signal is", trx_signal,".")
}
TRX Donchian channel indicator
n <- as.numeric(params[params$indicator == "DC",2])
price2 <- price[1:nrow(price)-1,]
dc <- DonchianChannel(price2$close,n=n)
price2$higher <- c(NA,sapply(2:nrow(dc),function(i) {
dc[i,"high"] > dc[(i-1),"high"]
} ))
price2$lower <- c(NA,sapply(2:nrow(dc),function(i) {
dc[i,"low"] < dc[(i-1),"low"]
} ))
price2 <- price2[price2$higher != price2$lower,]
# show changing rows only
price2 <- price2[c(NA,unlist(lapply(2:nrow(price2) , function(i) {
price2$higher[i] != price2$higher[i-1]
}))),]
price2 <- price2[!is.na(price2$higher),]
previous_signal <- price2[nrow(price2),"higher"]
price2 <- price
dc <- DonchianChannel(price2$close,n=n)
colnames(dc) <- c("dchigh","dcmid","dclow")
price2 <- cbind(price2,dc)
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | dchigh | dcmid | dclow |
|---|---|---|---|---|---|---|
| 2022-09-21 | 0.0611722 | 0.0588482 | 0.0591937 | 0.0603353 | 0.0597645 | 0.0591937 |
| 2022-09-22 | 0.0603352 | 0.0588364 | 0.0602601 | 0.0602601 | 0.0597269 | 0.0591937 |
| 2022-09-23 | 0.0611151 | 0.0593600 | 0.0604473 | 0.0604473 | 0.0598205 | 0.0591937 |
| 2022-09-24 | 0.0608608 | 0.0596805 | 0.0598714 | 0.0604473 | 0.0601594 | 0.0598714 |
| 2022-09-25 | 0.0602690 | 0.0595288 | 0.0597274 | 0.0604473 | 0.0600874 | 0.0597274 |
| 2022-09-26 | 0.0598475 | 0.0593026 | 0.0594387 | 0.0598714 | 0.0596551 | 0.0594387 |
trx_signal="NONE"
# if we in negative territory, check whether time to buy
if ( previous_signal == FALSE ) {
if ( price2[nrow(price2),"dchigh"] > price2[nrow(price2)-1,"dchigh"] ) {
trx_signal="BUY"
}
}
# if we in positive territory, check whether time to sell
if ( previous_signal == TRUE ) {
if ( price2[nrow(price2),"dclow"] < price2[nrow(price2)-1,"dclow"] ) {
trx_signal="SELL"
}
}
if ( trx_signal=="NONE" ) {
today_signal=previous_signal
} else {
if (trx_signal=="BUY") { today_signal = TRUE }
if (trx_signal=="SELL") { today_signal = FALSE }
}
if (today_signal==TRUE) {
ens_DC=TRUE
} else {
ens_DC=FALSE
}
message(paste("TRX DC signal:",trx_signal))
## TRX DC signal: NONE
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price",lwd=2)
grid()
lines(price2$dclow~ as.Date(price2$date),lwd=1.5,col="red")
lines(price2$dchigh~ as.Date(price2$date),lwd=1.5,col="limegreen")
price2 <- tail(price2,100)
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price",lwd=2)
grid()
lines(price2$dclow~ as.Date(price2$date),lwd=1.5,col="red")
lines(price2$dcmid~ as.Date(price2$date),lwd=1.5,col="gray")
lines(price2$dchigh~ as.Date(price2$date),lwd=1.5,col="limegreen")
if ( trx_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"TRX Donchian channel signal is", trx_signal,".")
}
TRX Ensemble indicator
This is a combination of a number of indicators.
ens <- params[params$indicator=="Ensemble","parameter"]
myrev <- intToUtf8(rev(utf8ToInt(ens)))
myrev <- unlist(strsplit(myrev,","))
# get thresh
n <- as.numeric(myrev[1])
myrev <- myrev[2:length(myrev)]
# get combination
combo <- sapply(myrev,function(s) { intToUtf8(rev(utf8ToInt(s))) })
message(paste("The combination is",paste(combo,collapse=" ")))
## The combination is stoch TSI SMAcross
message(paste("The buy threshold is",n))
## The buy threshold is 3
indicators <- c("SMA"=ens_SMA,
"EMA"=ens_EMA,
"SMAcross"=ens_SMAcross,
"EMAcross"=ens_EMAcross,
"DMI"=ens_DMI,
"TSI"=ens_TSI,
"stoch"=ens_stoch,
"RSI2"=ens_RSI2,
"DC"=ens_DC)
indicators <- indicators[names(indicators) %in% combo]
message("State of the indicators:")
## State of the indicators:
indicators
## SMAcross TSI stoch
## FALSE FALSE FALSE
today_count <- sum(indicators)
message(paste("today_count_TRX",today_count,sep="="))
## today_count_TRX=0
today_signal <- today_count>=n
prev_html <- readLines("https://mdz-analytics.com/coins/TRX/alerts_TRX.html")
prev_signal <- length(grep("TRX ensemble indicator is BULLISH",prev_html))>2
trx_signal <- "NONE"
if ( today_signal != prev_signal ) {
if ( today_signal == TRUE ) {
trx_signal="BUY"
} else {
trx_signal="SELL"
}
}
if (today_signal==TRUE) {
message("TRX ensemble indicator is BULLISH")
} else {
message("TRX ensemble indicator is BEARISH")
}
## TRX ensemble indicator is BEARISH
message(paste("TRX ENS signal:",trx_signal))
## TRX ENS signal: NONE
if ( trx_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"TRX Ensemble indicator is", trx_signal,".")
}
Send a push notification.
MYNOTE
## [1] " TRX Stoch signal is SELL ."
if ( !is.null(MYNOTE) ) {
MYNOTE <- paste(MYNOTE, ". Visit https://mdz-analytics.com/coins/TRX/alerts_TRX.html for the details")
MYNOTE
pbPost("note", "Crypto Alert", MYNOTE ,channel="trx_signal")
}
Session information
For reproducibility
Click HERE to show session info
sessionInfo()
## R version 4.1.2 (2021-11-01)
## Platform: aarch64-unknown-linux-gnu (64-bit)
## Running under: Ubuntu 22.04.1 LTS
##
## Matrix products: default
## BLAS: /usr/lib/aarch64-linux-gnu/blas/libblas.so.3.10.0
## LAPACK: /usr/lib/aarch64-linux-gnu/lapack/liblapack.so.3.10.0
##
## locale:
## [1] LC_CTYPE=en_AU.UTF-8 LC_NUMERIC=C
## [3] LC_TIME=en_AU.UTF-8 LC_COLLATE=en_AU.UTF-8
## [5] LC_MONETARY=en_AU.UTF-8 LC_MESSAGES=en_AU.UTF-8
## [7] LC_PAPER=en_AU.UTF-8 LC_NAME=C
## [9] LC_ADDRESS=C LC_TELEPHONE=C
## [11] LC_MEASUREMENT=en_AU.UTF-8 LC_IDENTIFICATION=C
##
## attached base packages:
## [1] stats graphics grDevices utils datasets methods base
##
## other attached packages:
## [1] kableExtra_1.3.4 RPushbullet_0.3.4 quantmod_0.4.20 TTR_0.24.3
## [5] xts_0.12.1 zoo_1.8-10 runner_0.4.1 forcats_0.5.1
## [9] stringr_1.4.0 dplyr_1.0.9 purrr_0.3.4 readr_2.1.2
## [13] tidyr_1.2.0 tibble_3.1.8 ggplot2_3.3.6 tidyverse_1.3.2
## [17] jsonlite_1.8.0
##
## loaded via a namespace (and not attached):
## [1] httr_1.4.4 sass_0.4.2 viridisLite_0.4.0
## [4] modelr_0.1.8 bslib_0.4.0 assertthat_0.2.1
## [7] highr_0.9 googlesheets4_1.0.1 cellranger_1.1.0
## [10] yaml_2.3.5 pillar_1.8.0 backports_1.4.1
## [13] lattice_0.20-45 glue_1.6.2 digest_0.6.29
## [16] rvest_1.0.2 colorspace_2.0-3 htmltools_0.5.3
## [19] pkgconfig_2.0.3 broom_1.0.0 haven_2.5.0
## [22] bookdown_0.28 scales_1.2.0 webshot_0.5.3
## [25] svglite_2.1.0 tzdb_0.3.0 googledrive_2.0.0
## [28] generics_0.1.3 ellipsis_0.3.2 cachem_1.0.6
## [31] withr_2.5.0 cli_3.3.0 magrittr_2.0.3
## [34] crayon_1.5.1 readxl_1.4.1 evaluate_0.16
## [37] fs_1.5.2 fansi_1.0.3 xml2_1.3.3
## [40] tools_4.1.2 hms_1.1.1 gargle_1.2.0
## [43] lifecycle_1.0.1 munsell_0.5.0 reprex_2.0.2
## [46] compiler_4.1.2 jquerylib_0.1.4 systemfonts_1.0.4
## [49] rlang_1.0.4 grid_4.1.2 rstudioapi_0.13
## [52] rmarkdown_2.15 gtable_0.3.0 DBI_1.1.3
## [55] curl_4.3.2 R6_2.5.1 lubridate_1.8.0
## [58] knitr_1.39 fastmap_1.1.0 utf8_1.2.2
## [61] stringi_1.7.8 parallel_4.1.2 rmdformats_1.0.4
## [64] Rcpp_1.0.9 vctrs_0.4.1 dbplyr_2.2.1
## [67] tidyselect_1.1.2 xfun_0.32